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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Oil(CBOT) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 22 20 18 22 19 24 22 14 17 27
Exceeded High   18 17 14 13 17 16 18 16 9 13 19
Scenario Percentage   75% 77% 70% 72% 77% 84% 75% 73% 64% 76% 70%
Avg Max Increase   11.39% 15.44% 19.48% 11.09% 7.76% 9.71% 9.43% 9.10% 11.61% 10.64% 6.50%
Max Increase   39.42% 76.66% 69.44% 51.45% 28.43% 22.17% 18.98% 24.14% 34.27% 32.65% 23.04%
Avg Days To Max Increase   18 13 15 16 15 19 16 12 19 9 7
Avg Max Decline   -1.74% -2.36% -1.37% -4.55% -1.52% -2.64% -1.94% -2.30% -2.93% -1.70% -0.67%
Max Decline   -5.02% -6.38% -3.74% -18.49% -7.25% -9.35% -5.22% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 7 6 11 5 8 7 11 10 5 2
2019 Contract Condition     Yes       Yes       Yes  
Action     No       Yes       Yes  
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 23 24 27 23 26 21 23 31 28 18
Penetrated Low   14 22 21 18 18 23 17 18 27 16 11
Scenario Percentage   74% 96% 88% 67% 78% 88% 81% 78% 87% 57% 61%
Avg Max Decline   8.56% 7.43% 9.66% 8.53% 8.67% 8.24% 8.40% 7.63% 6.82% 8.35% 3.40%
Max Decline   12.59% 18.57% 25.30% 26.20% 42.77% 32.62% 19.01% 22.84% 30.93% 24.16% 5.40%
Avg Days To Max Decline   20 22 18 16 18 15 20 17 16 10 7
Avg Max Increase   -1.88% -2.44% -2.30% -2.22% -3.23% -1.80% -4.55% -3.33% -3.39% -2.38% -1.82%
Max Increase   -5.21% -5.96% -12.50% -9.09% -13.21% -7.87% -17.82% -9.66% -13.99% -6.23% -3.86%
Avg Days to Max Increase   9 12 7 8 7 4 9 11 11 6 2
2019 Contract Condition   Yes   Yes Yes Yes   Yes Yes Yes   Yes
Action   Yes   Yes Yes Yes   Yes No No   Yes
High 33.87 34.07 33.38 32.80 30.36 29.83 30.00 30.50 29.06 29.50 30.48 31.01
Low 32.62 31.97 31.56 29.18 28.53 28.61 27.69 28.23 27.42 27.58 27.85 29.62
Close/Last 33.22 32.06 32.46 30.32 29.84 29.28 29.52 28.49 28.30 27.85 30.17 29.96

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